Analysis of price fluctuations in futures exchange markets

被引：8
|
作者：
Lim, Gyuchang [2 ]
Kim, SooYong [2 ]
Scalas, Enrico [3 ]
Kim, Kyungsik [1 ]
Chang, Ki-Ho [4 ]
机构：
[1] Pukyong Natl Univ, Dept Phys, Pusan 608737, South Korea
[2] Korea Adv Inst Sci & Technol, Dept Phys, Taejon 305701, South Korea
[3] E Piedmont Univ, Dept Adv Sci & Technol, I-15100 Alessandria, Italy
[4] KMA, Natl Inst Meteorol Res, Seoul 156720, South Korea
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2008年 / 387卷 / 12期
关键词：
Fokker-Planck equation; drift and diffusion coefficients; Kramers-Moyal coefficient; KTB;
D O I：
10.1016/j.physa.2008.01.040
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
We show that the fluctuations of the tick-by-tick logarithmic price in a futures market can be described in terms of the Fokker-Planck equation (FPE). We calculate the corresponding drift and diffusion coefficients and argue that these values can contain some information pertaining to the market state. It is particularly showed that the Korean treasury bond (KTB) futures is well described by a FPE and has a similar structure to turbulence. (C) 2008 Elsevier B.V. All rights reserved.
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页码：2823 / 2830
页数：8
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